Hola !
Just wanted to share a few safety ideas.
On my last visit to Spain I traveled solo. I followed the advice of other posts and spread my valuables out in different places so that a thief would not get everything if I were pick-pocketed. I went to WMart and bought two regular zippered waist hidden money pouches. One I used in the typical way. On the second one, I cut the elastic off the short ends of the pouch. I sewed one short strip (6")of the elastic to each end on the longer sides of the pouch and wore it around my calf, under my jeans. The money pouch rested vertically against my calf. It could not be seen and was so comfortable that I could barely sense it was there. I put a extra credit cards there, my ATM card, and emergency cash.

My husband loves Columbia brand clothing with lots of zippered pockets. The khakis have zippered pockets hidden inside the regular front pockets. Also buttoned shirt pockets are deep enough to hold a passport when you are in the airports. Some of these shirts have a zippered pocket inside the pocket.

By the way, on my last visit, I never personally met with in incident of pick-pocketing. I did, however, witness one in Granada. I had just spoken to a young man who arrived at the bus station. We both took a very crowded bus into the city. I went to stand near the driver and he remained near the door. Someone had watched him zip his money into an ankle pocket in his jeans while at the bus station. (Don't do this in full view of public !) The thief unzipped his pocket without my friend's notice and took ALL of his money and credit cards. He had everything of value in that one pocket! I bought him a coke (it was hot July) and we found an AmEx office where he had his mom wire him some money to get home. Very sad, but didn't have to be.

Looking forward to another safe trip,
Snoo

P.S. Madridman, have you looked at Madrid and all the photos on Google Earth? It's fantastic.